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scientific article; zbMATH DE number 7009472 - MaRDI portal

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Publication:4612381

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zbMath1413.91110MaRDI QIDQ4612381

Shima Shirinpour, Farshid Mehrdoust

Publication date: 31 January 2019

Full work available at URL: https://camo.ici.ro/journal/vol18/v18b5n.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricing Heston model regime-switching fast Fourier transform algorithm double exponential jump

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge

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